Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0957
Annualized Std Dev 0.2342
Annualized Sharpe (Rf=0%) 0.4088

Row

Daily Return Statistics

Close
Observations 3446.0000
NAs 1.0000
Minimum -0.0997
Quartile 1 -0.0056
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0073
Maximum 0.1363
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0148
Skewness -0.1479
Kurtosis 8.9214

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0104
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6164
Historical VaR (95%) -0.0222
Historical ES (95%) -0.0361
Modified VaR (95%) -0.0218
Modified ES (95%) -0.0350
From Trough To Depth Length To Trough Recovery
2007-07-20 2009-03-06 2013-01-10 -0.6164 1270 342 928
2020-02-13 2020-03-23 2020-10-08 -0.4237 166 27 139
2018-09-19 2018-12-24 2019-09-13 -0.2497 248 67 181
2015-02-23 2016-01-20 2016-07-14 -0.1943 351 229 122
2018-01-29 2018-05-03 2018-09-14 -0.1133 160 67 93

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA -0.7 -0.7 -1.3
2007 1.5 0.9 -1.7 -1 0.7 -0.1 0.8 1.4 1.4 -2.2 1.3 -0.5 2.4
2008 1 -2.8 4 0 0.4 -1.3 -0.3 -0.9 0.5 3.3 -4 2.2 1.9
2009 -4.1 -2.3 5.6 -0.1 6.7 -0.3 3.1 -0.9 -2.2 -2.8 1.1 -0.7 2.4
2010 1.6 1.8 0.5 -1.6 -2.6 -2.2 0.1 3.6 -0.4 0.5 2.4 0.1 3.8
2011 1.4 -1.3 0.8 0.3 -2.3 1.8 -2 -1.4 -0.5 -4.2 0.7 -0.4 -7
2012 1.5 0 0.3 0.5 -2.3 4.1 -0.7 0.3 1.2 2 0.2 1.1 8.4
2013 0.7 -0.8 -1.5 -0.3 -0.3 0.9 1.7 -0.7 0.9 0.5 0.1 0.3 1.6
2014 -0.2 0.3 1 -0.5 0.1 0.7 -0.3 -0.1 -2 1 -1.4 -0.7 -2.2
2015 -1.3 -0.3 -1 1 0.2 0.3 -0.2 -3 -0.1 0.5 0.6 -0.8 -4.1
2016 0.3 1.8 0.1 -0.8 0 0.6 -0.5 0.2 0.9 -1.2 0.6 -0.4 1.5
2017 -0.1 1.6 -0.2 -0.1 0.8 1.2 0 0.2 0.6 -0.1 -0.9 -0.2 2.9
2018 -0.2 -1.8 1.9 -0.3 0.9 0.2 -0.9 0.2 0.3 2.1 0.7 0.8 3.9
2019 0.1 0.4 2 -0.4 -1.4 0.5 -2.2 0.4 -2.3 2.2 -0.6 0.1 -1.2
2020 -2.3 -2.1 -4.5 -3.2 0.8 -1 -0.3 1.1 -0.3 -0.1 0.1 0.6 -10.6
2021 1.3 2.1 -0.3 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart